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(DPFS) using clustering analysis, and copula-based parametric modeling of frequency and severity (CPFS). These two …
the random vector is formulated by means of an absolutely continuous copula, allowing for a variety of different … property into marginal and dependence structure contributions typical for copula approaches. Along the same lines we obtain the …
We study the risk of holding credit default swaps (CDS) in the trading book. In particular, we compare the Value at Risk (VaR) of a CDS position to the VaR for investing in the respective firm’s equity. Our sample consists of CDS stock price pairs for 86 actively traded firms over the period...
We investigate the risk of holding credit default swaps (CDS) in the trading book and compare the Value at Risk (VaR) of a CDS position to the VaR for investing in the respective firm's equity using a sample of CDS stock price pairs for 86 actively traded firms over the period from March 2003 to...